Working Papers / Documents de travail Energy Markets and CO2 Emissions: Analysis by Stochastic Copula Autoregressive Model Energy Markets and CO 2 emissions: analysis by stochastic copula autoregressive model

Abstract

Abstract We examine the dependence between the volatility of the prices of the carbon dioxide "CO 2 " emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the Stochastic Autoregressive Copulas (SCAR), which is a time varying copula that was first introduced by Hafner and Manner (2012) The main result suggests that the dynamics of the dependence between the volatility of the CO 2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils